Box-Jenkins Modeling of Greek Stock Prices Data

Chaido Dritsaki

EN

Box-Jenkins Modeling of Greek Stock Prices Data

Abstract

Recent econometric procedures are employed in this paper to investigate the behavioral properties of Athens Stock Exchange (ASE) indices. The results of serial correlation showed that the hypothesis of weak - form efficiency of Athens Stock Exchange should be rejected. The Augmented Dickey- Fuller tests and Phillips-Perron tests confirm the existence of unit root on levels of stock prices. The random walk hypothesis matches with ARIMA (0,1,2) model where the future values of stock prices cannot be defined from past values. Afterwards, the results of Theil Inequality Coefficient indices showed that the forecasting ability of the model is not satisfactory.

Keywords

Market efficiency, ARIMA models, Stationary and Random Walk Tests, Stock prices, Forecasting, Greece

Details

Primary Language

English

Subjects

-

Journal Section

-

Authors

Chaido Dritsaki This is me

Publication Date

September 1, 2015

Submission Date

September 1, 2015

Acceptance Date

-

Published in Issue

Year 2015 Volume: 5 Number: 3

IZ

https://izlik.org/JA24MA75EX

Cite

RIS / Bibtex

APA

Dritsaki, C. (2015). Box-Jenkins Modeling of Greek Stock Prices Data. International Journal of Economics and Financial Issues, 5(3), 740-747. https://izlik.org/JA24MA75EX

AMA

1.Dritsaki C. Box-Jenkins Modeling of Greek Stock Prices Data. IJEFI. 2015;5(3):740-747. https://izlik.org/JA24MA75EX

Chicago

Dritsaki, Chaido. 2015. “Box-Jenkins Modeling of Greek Stock Prices Data”. International Journal of Economics and Financial Issues 5 (3): 740-47. https://izlik.org/JA24MA75EX.

EndNote

Dritsaki C (September 1, 2015) Box-Jenkins Modeling of Greek Stock Prices Data. International Journal of Economics and Financial Issues 5 3 740–747.

IEEE

[1]C. Dritsaki, “Box-Jenkins Modeling of Greek Stock Prices Data”, IJEFI, vol. 5, no. 3, pp. 740–747, Sept. 2015, [Online]. Available: https://izlik.org/JA24MA75EX

ISNAD

Dritsaki, Chaido. “Box-Jenkins Modeling of Greek Stock Prices Data”. International Journal of Economics and Financial Issues 5/3 (September 1, 2015): 740-747. https://izlik.org/JA24MA75EX.

JAMA

1.Dritsaki C. Box-Jenkins Modeling of Greek Stock Prices Data. IJEFI. 2015;5:740–747.

MLA

Dritsaki, Chaido. “Box-Jenkins Modeling of Greek Stock Prices Data”. International Journal of Economics and Financial Issues, vol. 5, no. 3, Sept. 2015, pp. 740-7, https://izlik.org/JA24MA75EX.

Vancouver

1.Chaido Dritsaki. Box-Jenkins Modeling of Greek Stock Prices Data. IJEFI [Internet]. 2015 Sep. 1;5(3):740-7. Available from: https://izlik.org/JA24MA75EX